Strategic asset allocation with liabilities: beyond stocks and bonds

DOI10.1016/J.JEDC.2007.11.003zbMATH Open1181.91097OpenAlexW3121831272MaRDI QIDQ844772FDOQ844772

Authors: Roy P. M. M. Hoevenaars, Roderick D. J. Molenaar, Peter C. Schotman, Tom B. M. Steenkamp 

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://cris.maastrichtuniversity.nl/en/publications/5b697aa0-725d-455e-9332-2af9ac83b3a5

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zbMATH Keywords

portfolio choicepension fundsasset-liability managementstrategic asset allocation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Strategic asset allocation
• Predicting the equity premium with dividend ratios
• On optimal portfolio choice under stochastic interest rates
• Predictable returns and asset allocation: should a skeptical investor time the market?
• Strategic asset allocation in a continuous-time VAR model

Cited In (10)

• Title not available (Why is that?)
• Optimal investment strategy for asset-liability management under the Heston model
• Strategic asset allocation
• Spectral decomposition of optimal asset-liability management
• Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks
• Optimal dynamic asset-liability management with stochastic interest rates and inflation risks
• Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints
• Valuation of intergenerational transfers in funded collective pension schemes
• Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework
• Dynamic asset-liability management in a Markov market with stochastic cash flows

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